Analyzing Active Investment Strategies
Journal
The Journal of Portfolio Management
ISSN
0095-4918
Type
journal article
Date Issued
2006-10-21
Author(s)
Abstract
The article examines strategies for making financial investments by using a decomposition of the non-central tracking error variance to indicate how actively assets are managed. This method examines how much risk the asset manager takes in investments by analyzing positive and negative returns. Two mathematical models are presented to analyze the active management of investments. The authors believe that their decomposition method and tracking error variance generate data that is not formally found by traditional analysis methods.
[http://www.manuel-ammann.com/pdf/Ammann_Tracking_Error_Variance_Decomposition_Final.pdf]
[http://www.manuel-ammann.com/pdf/Ammann_Tracking_Error_Variance_Decomposition_Final.pdf]
Language
English
Keywords
Active investing
Tracking error
tracking error variance
HSG Classification
not classified
Refereed
Yes
Publisher
Institutional Investor
Publisher place
New York
Volume
33
Number
1
Start page
56
End page
67
Pages
12
Subject(s)
Eprints ID
37911
File(s)![Thumbnail Image]()
Name
Tracking_Error_Variance_Decomposition_WP_Series.pdf
Size
245.29 KB
Format
Adobe PDF
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